We examine the implications of shortand long-run consumption growth fluctuations on the momentum and contrarian profits and the value premium in a unified economic framework. By allowing time-varying firm cash flow exposures to the short-run and long-run shocks in consumption growth, we find the otherwise standard intertemporal asset pricing model goes a long way in generating the momentum and ...

This paper analyzes the pattern of provincial economic integration in China for the period 1991−98 by means of an errorcomponents model that decomposes provincial sectoral real valueadded growth into common national effects, industry-specific effects and province-specific effects. We find significant comovements in the long run although province-specific factors still account for one-third of t...

Output-growth and inflation differentials have been large and rather persistent since the beginning of the European Economic and Monetary Union. In the empirical literature, several fundamental causes of heterogeneities as regional productivity shocks and home-bias effects, and frictions as staggered-pricing and labor immobility are identified as causes for these differentials. In our model, we...

Tinbergen Rules the Taylor Rule by Thomas R. Michl JEL E12, E52

T his paper examined whether monetary policy is acyclical, procyclical or countercyclical and the implications of the interaction of such cyclicality with industrial output on real economic growth in Nigeria. After determining the time series properties of the variables and based on conventional cyclicality measures, the fully modified ordinary least square method was used to examine...

This paper reexamines the effects of inflation uncertainty on real economic activity by utilizing a flexible, dynamic, multivariate framework that accommodates possible interaction between the conditional means and variances. The empirical model is based on the identified vector autoregressive regression of Bernanke and Gertler (1995), modified to accommodate multivariate generalized autoregres...

Article history: Received 14 August 2008 Accepted 20 January 2009 Available online 7 February 2009 JEL classification: E42 E52 E63

 A global economic recovery is expected to be ignited in 2010 but this will be characterized by very different growth trajectories among advanced and emerging economies. The downside risks are formidable. Sustaining this recovery will require skillful macroeconomic management. Exit strategies for fiscal stimulus will need to be carefully timed and credible fiscal consolidation plans nee...

Article history: Received 16 June 2009 Accepted 19 April 2010 Available online xxxx JEL classification: E31 E50 E52 E58 F41

Article history: Received 26 June 2012 Revised 25 June 2013 Available online xxxx JEL classification: E52 E58